On the exponential ergodicity of Lévy-driven Ornstein--Uhlenbeck processes

Jian Wang

doi:10.1239/jap/1354716653

Abstract

Based on the explicit coupling property, the ergodicity and the exponential ergodicity of Lévy-driven Ornstein--Uhlenbeck processes are established.

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Jian Wang. "On the exponential ergodicity of Lévy-driven Ornstein--Uhlenbeck processes." J. Appl. Probab. 49 (4) 990 - 1004, December 2012. https://doi.org/10.1239/jap/1354716653

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Published: December 2012

First available in Project Euclid: 5 December 2012

zbMATH: 1258.60037

MathSciNet: MR3058984

Digital Object Identifier: 10.1239/jap/1354716653

Subjects:

Primary: 60H10

Secondary: 60G51 , 60J75

Keywords: Coupling property , exponential ergodicity , Lévy process , Ornstein--Uhlenbeck process

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